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20142023
most citedThe determinants of bank loan recovery rates in good times and bad - new evidence

2 citations · 2 across the 3 of their papers we have counts for

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stat.AP2014

Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures

Worapree Maneesoonthorn, Catherine S. Forbes, Gael M. Martin

Dynamic jumps in the price and volatility of an asset are modelled using a joint Hawkes process in conjunction with a bivariate jump diffusion. A state space representation is used…